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<b>Supporting materials for "The Econometrics of the Hodrick-Prescott Filter", by Robert M. de Jong and Neslihan Sakarya</b>
<br><br><br>
<ul>
<li>The <a href="hp.pdf">text</a> of the paper "The Econometrics of the Hodrick-Prescott Filter"
<li><a href="ComparingHpf_and_OurHpf.m">Matlab program</a> that verifies correctness of the HP filter representation of Theorem 1
<ul>
<li><a href="ComparisonHPf_and_OurHPf_1.txt">Output</a> of this Matlab program for T=180 and lambda=1600
<li><a href="ComparisonHPf_and_OurHPf_2.txt">Output</a> of this Matlab program for T=50 and lambda=6.25
<li><a href="ComparisonHPf_and_OurHPf_3.txt">Output</a> of this Matlab program for T=10 and lambda=1
</ul>
<li><a href="Table_Xi_Phi.m">Matlab program</a> used for creating Table 1 and Table 2 of Appendix 1
<ul>
<li><a href="Tables_Xi_Phi.txt">Output</a> of this Matlab program
</ul>
<li><a href="triple_difference_proof.pdf">Derivation</a> of the triple difference formulas of Lemma 4 in Appendix 2
<li><a href="triple_equivalence_proof.m">Matlab program</a> demonstrating correctness of the triple difference formulas of Lemma 4 in Appendix 2
<ul>
<li><a href="TripleEquivalence_1.txt">Output</a> of this Matlab program for T=180 and lambda=1600
<li><a href="TripleEquivalence_2.txt">Output</a> of this Matlab program for T=50 and lambda=6.25
<li><a href="TripleEquivalence_3.txt">Output</a> of this Matlab program for T=10 and lambda=1

</ul>
<li><a href="TheGraphFor_f.m">Matlab program</a> for calculating function values for the f function; used for creating Figure 1 in Appendix 1; also used for calculating the spreadsheet below
<li><a href="TheGraphFor_g.m">Matlab program</a> for calculating function values for the g function; used for creating Figure 2 in Appendix 1; also used for calculating the spreadsheet below
<li><a href="functionvalues_hp.xlsx">Spreadsheet</a> of function values for the f and g functions for various values of T and lambda
</ul>
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